| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9349 |
| DP9349 Skewness Risk Premium: Theory and Empirical Evidence | |
| Christian Wolff; Thorsten Lehnert | |
| 发表日期 | 2013-02-17 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | Using an equilibrium asset and option pricing model in a production economy under jump diffusion, we show theoretically that the aggregated excess market returns can be predicted by the skewness risk premium, which is constructed to be the difference between the physical and the risk-neutral skewness. In an empirical application of the model using more than 20 years of data on S&P500 index options, we find that, in line with theory, risk-averse investors demand risk-compensation for holding stocks when the market skewness risk premium is high. However, when we characterize periods of high and low risk aversion, we show that in line with theory, the relationship only holds when risk aversion is high. In periods of low riskaversion, investors demand lower risk compensation, thus substantially weakening the skewness-risk-premium-return trade off. |
| 主题 | Financial Economics |
| 关键词 | Asset pricing Skewness risk premium Option markets Central moments Investor sentiment Risk aversion |
| URL | https://cepr.org/publications/dp9349 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538185 |
| 推荐引用方式 GB/T 7714 | Christian Wolff,Thorsten Lehnert. DP9349 Skewness Risk Premium: Theory and Empirical Evidence. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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